The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads : an event Study from the EMU

Afonso, António; Jalles, João Tovar; Kazemi, Mina

http://hdl.handle.net/10400.5/17356

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Authors

Afonso, António

Jalles, João Tovar

Kazemi, Mina

Abstract(s)

We assess the impact of announcements corresponding to different fiscal and monetary policy measures on the 10-year sovereign bond yield spreads (relative to Germany) of the 10 EMU countries during the period 01:1999 - 07:2016. Implementing pooled and country-fixed effects OLS regressions, we find that the European Commission’s (EC) releases of the excessive deficit procedure significantly affect the yield spreads. The EC releases of higher debt and better budget balance forecasts contribute to the rise and the decline of spreads, respectively. Moreover, we find that the announcements of the ECB’s key interest rates together with the longer-term refinancing operations (LTROs) and the first covered bond purchase programme (CBPP1) negatively affect sovereign yield spreads in our sample of EMU countries.

Keywords

sovereign yields fiscal policy monetary policy event analysis panel data

URI

http://hdl.handle.net/10400.5/17356

Citation

Afonso, António, João Tovar Jalles e Mina Kazemi (2019). "The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads : an event Study from the EMU". Instituto Superior de Economia e Gestão – REM Working paper nº 067 - 2019